estparmcd {multvardiv} | R Documentation |
Estimation of the Parameters of a Multivariate Cauchy Distribution
Description
Estimation of the mean vector and correlation matrix of a multivariate Cauchy distribution (MCD).
Usage
estparmcd(x, eps = 1e-6)
Arguments
x |
numeric matrix or data frame. |
eps |
numeric. Precision for the estimation of the parameters. |
Details
The EM method is used to estimate the parameters.
Value
A list of 2 elements:
-
mu
the mean vector. -
Sigma
: symmetric positive-definite matrix. The correlation matrix.
with two attributes attr(, "epsilon")
(precision of the result) and attr(, "k")
(number of iterations).
Author(s)
Pierre Santagostini, Nizar Bouhlel
References
Doğru, F., Bulut, Y. M. and Arslan, O. (2018). Doubly reweighted estimators for the parameters of the multivariate t-distribution. Communications in Statistics - Theory and Methods. 47. doi:10.1080/03610926.2018.1445861.
See Also
dmcd
: probability density of a MTD
rmcd
: random generation from a MTD.
Examples
mu <- c(0, 1, 4)
Sigma <- matrix(c(1, 0.6, 0.2, 0.6, 1, 0.3, 0.2, 0.3, 1), nrow = 3)
x <- rmcd(100, mu, Sigma)
# Estimation of the parameters
estparmcd(x)